Simulation and Monte Carlo: With Applications in Finance and MCMC

Description

Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation.

Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments.

Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.

Buy Both and Save 25%!

This item: Simulation and Monte Carlo: With Applications in Finance and MCMC

?This book would be immensely useful for any practitioner seeking to learn more about this field, as well as for lecturers seeking a reliable and informative text.? ( Significance, September 2009)

"The book does a nice job of discussing, developing, and presenting the mathematical aspects of random processes, random number generation, and Markov chain Monte Carlo (MCMC) methods. I particularly like the notation used and the depth of proofs offered; they are technically correct, well organized, and nicely presented." (Journal of the American Statistical Association, June 2008)

?Dagpunar presents a textbook based on 20-hour courses he has taught for advanced students of mathematics and students of financial mathematics.? (SciTech Book Reviews, June 2007)

"?excellent for students and practitioners who don't have previous experience with simulation methods?a great contribution." (MAA Reviews, April 5, 2007)